Financial Model Building (P02375)

? Credit Points : 5 ? SCQF Level : 11 ? Acronym : MAT-P-FMB

Building and implementing accurate financial models requires a comprehensive understanding of the assets being modelled and the generally accepted mathematical frameworks used for valuation. This course gives a practical overview of Fixed Income markets, current pricing conventions, the most common pricing algorithms and an introduction to some interest rate and credit derivative products.

Entry Requirements

none

Subject Areas

Home subject area

Operational Research, (School of Mathematics, Schedule P)

Delivery Information

? Normal year taken : Postgraduate

? Delivery Period : Semester 1 (Blocks 1-2)

? Contact Teaching Time : 4 hour(s) per week for 5 weeks

Summary of Intended Learning Outcomes

1. Knowledge of fixed income assets, derivatives and market conventions.
2. Ability to apply interest rate calculations to fixed income products.
3. Understanding of modelling requirements for pricing and analysing fixed income assets.
4. Understanding of yield curve concepts and modelling frameworks.
5. Understanding of recovery modelling frameworks.
6. Understanding of credit modelling frameworks.
7. Understanding of liquidity modelling frameworks.
8. Ability to implement financial models.